| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w20390 |
| 来源ID | Working Paper 20390 |
| Perturbation Methods for Markov-Switching DSGE Models | |
| Andrew Foerster; Juan Rubio-Ramírez; Daniel F. Waggoner; Tao Zha | |
| 发表日期 | 2014-08-21 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | Markov-switching DSGE (MSDSGE) modeling has become a growing body of literature on economic and policy issues related to structural shifts. This paper develops a general perturbation methodology for constructing high-order approximations to the solutions of MSDSGE models. Our new method, called "the partition perturbation method,'' partitions the Markov-switching parameter space to keep a maximum number of time-varying parameters from perturbation. For this method to work in practice, we show how to reduce the potentially intractable problem of solving MSDSGE models to the manageable problem of solving a system of quadratic polynomial equations. We propose to use the theory of Gröbner bases for solving such a quadratic system. This approach allows us to first obtain all the solutions and then determine how many of them are stable. We illustrate the tractability of our methodology through two examples. |
| 主题 | Microeconomics ; Mathematical Tools ; Macroeconomics ; Business Cycles ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w20390 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/578064 |
| 推荐引用方式 GB/T 7714 | Andrew Foerster,Juan Rubio-Ramírez,Daniel F. Waggoner,et al. Perturbation Methods for Markov-Switching DSGE Models. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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